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VIX up 4% in spite of continuing equity rally

Feb 25, 2019

 

Diverse Option Strategies for All Risk LevelsDiverse Option Strategies for All Risk Levels
Diverse Option Strategies for All Risk LevelsDiverse Option Strategies for All Risk Levels

Options Market Commentary

Equities are stronger this afternoon after President Trump delayed the March 1st tariff deadline. Currently, the S&P is +.5% , the Russell +.5% and the Nasdaq is +.6%. Bonds are lower in sympathy with today’s risk-on sentiment (TLT -.44%, US 10 year yield up to 2.679%). In single name news, General Electric is up 8.7% after announcing the sale of its Life Sciences unit for $21.4 billion. Crude Oil is under pressure (-3.5%) thanks to a Trump tweet that claims ‘Oil prices are getting too high’ and asks OPEC to ‘relax’. Biotech is outperforming today, up 4%, while defensive sectors (Consumer Staples, Utilities, Healthcare) lag the broader market. Volatilities are higher as equities come off their highs with the VIX +4% to 14.08, VXN +2% to 17.28, and RVX +2.5% at 15.98.

 

ETF 30D Volatility Changes

SPY:    -2%

IWM:   -2%   

QQQ:  -3%

 

Directional Options Strategies

Bullish Option Strategies

DHI 15,400 Mar 1st 41.5 calls trade (Housing data tomorrow, ref. 41.15)

QD Buyer 5,000 Mar 7 calls (ref. 6.35)

FTCH 2,100 Mar 22.5 calls trade (Earnings 2/28, ref. 21.41)

DISCA 3,000 Mar 30 calls trade (Earnings 2/26, ref. 29.53)

UAA Seller 6,300 Apr 20 puts (appears closing, ref. 22.04)

 

Bearish Option Strategies

GE Seller 123,000 Mar 8th 9 calls to Buy 123,000 Mar 8.5 puts tied to stock (closing, ref. 11.54)

PCG Buyer 9,800 May 15 – 10 1x2 put spreads (ref. 18.43)

LVS Buyer 4,000 Mar 1st 62 – 59.5 put spreads (ref. 61.71)

SE Buyer 10,000 May 10 puts (closing, leaves 10,000 May 15 calls open, Earnings 2/26, ref. 15.98)

CSCO Buyer 12,000 Mar 50 calls to Sell 12,000 May 55 calls (appears to roll write, ref. 50.80)

INTC Buyer 11,000 Mar 52.5 calls to Sell 11,000 Apr 55 calls (appears to roll write, ref. 53.27)

XOM Buyer 8,944 Mar 78 – 77 put spreads (ref. 78.67)

AAL Seller 38,000 Mar 34 calls to Buy 38,000 Mar 33 puts tied to stock (closing, ref. 35.98)

 

Quantitatively-Derived Options Trades: Transparent and Easily ExecutableQuantitatively-Derived Options Trades: Transparent and Easily Executable
Quantitatively-Derived Options Trades: Transparent and Easily ExecutableQuantitatively-Derived Options Trades: Transparent and Easily Executable

Macro Options Strategies

Bullish Option Strategies

QQQ Buyer 8,000 Mar 174 – 176 call spreads (ref. 174.49)

FXI 11,000 Apr 45 – 47 – 50 broken call flies trade (appears to roll call spread (ref. 44.99)

FXI Buyer 41,000 Mar 1st 46 calls (ref. 44.96)

 

Bearish Option Strategies

XLF Buyer 75,000 Jan21 24 puts (ref. 26.75)

SPY Seller 12,000 Apr 5th 281 straddles to Buy 120,400 Apr 5th 261 puts (ref. 280.70)  

SPY 66,900 Mar 22nd 253 puts trade (closing) and 55,610 Mar 29th 255 puts trade (ref. 280.56)

SPY Buyer 23,974 Mar 268.5 puts (ref. 280.63)

IWM Buyer 7,500 May 155 – 150 put spreads (ref. 159.38)

EFA Seller 35,000 Mar 65 calls (ref. 64.33)

VIX Seller 50,000 Apr 13.5 – 12.5 put spreads to Buy 100,000 Apr 23 – 26 call spreads (ref. 15.63)

VIX Buyer 50,000 Apr 20 – 30 call spreads (140,000 trade on the day, ref. 15.75)

 

Actionable and Transparent Quantitative ResearchActionable and Transparent Quantitative Research
Actionable and Transparent Quantitative ResearchActionable and Transparent Quantitative Research

 

 

Finance Trades Options Strategies

EEM 16,000 Mar 44 RevCons trade (ref. 43.62)

SPY 10,000 Mar 240 RevCons trade (ref. 280.54)

LLY 12,000 Mar 150 RevCons trade (ref. 123.69)

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
CRZO 2/25/2019 3.4 7.9 -56.9% F 1,837
ETSY 2/25/2019 12.6 11.0 14.6% F 15,151
HTZ 2/25/2019 9.2 16.0 -42.2% D 4,808
IMMU 2/25/2019 4.4 6.8 -35.1% C 11,995
MOS 2/25/2019 5.6 6.0 -6.2% C 12,403
OKE 2/25/2019 2.3 2.5 -5.0% B 26,930
RCII 2/25/2019 7.8 4.3 84.2% C 3,930
RP 2/25/2019 4.8 2.9 65.4% C 1,527
RRC 2/25/2019 3.8 4.4 -13.5% D 8,283
SHAK 2/25/2019 9.1 9.9 -8.4% D 6,488
THC 2/25/2019 9.9 12.3 -19.0% D 11,592
AAXN 2/26/2019 9.7 13.2 -26.2% F 4,800
ACAD 2/26/2019 20.0 9.3 116.5% C 1,784
AZO 2/26/2019 4.8 5.4 -10.9% B 50,669
BGS 2/26/2019 8.1 7.0 15.9% B 1,922
CBRL 2/26/2019 4.1 3.9 6.8% C 8,489
CLVS 2/26/2019 14.5 10.3 41.1% D 13,550
DISCA 2/26/2019 5.2 4.1 27.4% F 1,660
ENPH 2/26/2019 14.4 11.4 26.9% F 1,431
EOG 2/26/2019 3.6 2.6 36.1% C 40,760
FRPT 2/26/2019 10.2 7.4 36.5% C 7,083
HD 2/26/2019 2.6 1.1 141.6% B 237,727
INGN 2/26/2019 11.1 11.8 -6.2% C 33,642
LNG 2/26/2019 3.8 2.9 32.4% C 22,604
M 2/26/2019 8.5 9.9 -13.9% D 32,122
MASI 2/26/2019 5.3 5.3 0.7% A 6,086
MELI 2/26/2019 6.5 7.7 -15.4% D 37,726
MYL 2/26/2019 6.0 4.8 25.1% B 10,364
NXST 2/26/2019 4.8 2.0 137.5% A 6,180
PANW 2/26/2019 6.8 6.4 6.7% D 100,367
PEN 2/26/2019 9.4 8.1 16.3% C 2,487
PLNT 2/26/2019 9.1 9.2 -1.3% C 5,390
PSA 2/26/2019 2.5 3.0 -16.6% C 1,810
PZZA 2/26/2019 4.7 5.3 -12.2% F 6,902
RLGY 2/26/2019 8.2 6.2 31.0% D 8,604
SJM 2/26/2019 5.0 5.8 -12.4% C 7,602
TNDM 2/26/2019 11.2 7.7 44.9% F 14,296
TOL 2/26/2019 5.4 6.3 -14.2% D 7,517
TREE 2/26/2019 10.8 13.4 -19.1% B 5,797
VEEV 2/26/2019 6.3 7.2 -12.0% B 18,138
VICR 2/26/2019 12.3 14.3 -14.1% F 3,455
VSI 2/26/2019 12.3 18.0 -31.3% F 2,026
WLL 2/26/2019 7.3 8.8 -17.4% D 7,861
WP 2/26/2019 2.2 3.9 -44.3% D 26,678
WTW 2/26/2019 14.9 14.3 4.0% C 21,607
AMED 2/27/2019 11.0 7.5 47.6% C 13,259
AMT 2/27/2019 2.2 2.3 -3.6% B 38,075
ANSS 2/27/2019 3.5 4.1 -14.4% B 2,842
APA 2/27/2019 3.8 4.2 -8.0% F 16,318
AYX 2/27/2019 10.3 8.7 19.5% D 9,410
BBY 2/27/2019 7.8 7.2 8.9% C 31,848
BKNG 2/27/2019 5.2 6.2 -16.2% A 1,079,773
BOX 2/27/2019 6.8 7.4 -8.0% F 14,929
CPB 2/27/2019 6.4 5.9 8.8% C 5,376
CRC 2/27/2019 11.2 11.5 -2.9% F 9,751
CVNA 2/27/2019 11.3 9.0 25.3% F 89,078
ERI 2/27/2019 6.4 5.4 18.2% F 3,000
FGEN 2/27/2019 12.3 9.4 30.5% D 18,075
FIT 2/27/2019 13.3 13.8 -3.7% F 5,090
GPOR 2/27/2019 6.5 6.2 4.2% D 2,665
HGV 2/27/2019 3.4 5.4 -36.3% C 4,132
HIIQ 2/27/2019 18.3 9.0 102.3% C 16,788
HPQ 2/27/2019 4.6 3.4 35.9% A 7,571
IONS 2/27/2019 7.6 4.7 61.9% F 17,563
LB 2/27/2019 8.2 8.7 -5.0% F 11,352
LOW 2/27/2019 4.7 5.6 -16.0% D 49,165
MNST 2/27/2019 6.2 5.4 14.3% B 4,858
PEG 2/27/2019 2.2 1.7 28.7% D 1,749
SQ 2/27/2019 6.5 6.3 3.9% F 305,683
SRPT 2/27/2019 12.7 8.1 57.1% D 71,268
TDOC 2/27/2019 7.7 7.1 9.0% D 3,441
TJX 2/27/2019 4.6 3.8 22.2% C 8,057
UHS 2/27/2019 3.7 4.6 -19.9% B 1,940
WATT 2/27/2019 15.1 7.4 104.6% D 3,057
WING 2/27/2019 7.8 8.6 -9.8% D 3,950

 

Volatility Standouts

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
STMP 74.76% C -5.21% 34.13 2,847
ELAN 71.14% D -2.22% 31.25 49,877
ARRY 57.21% F -2.96% 63.89 14,883
FGEN 54.05% D -0.74% 95.24 18,075
S 51.47% F -0.20% 94.05 4,118
ARRS 48.93% C 8.61% 13.89 338
GPS 45.85% D 1.49% 78.97 12,569
TTGT 45.18% C -2.39% 25.40 1,657
NLS 44.97% F -1.67% 98.41 834
INGR 44.74% A -1.29% 13.10 875
CTXS 43.04% C -2.21% 6.35 22,726
AMED 39.63% C -1.68% 84.13 13,259
ZAYO 38.85% D 0.04% 22.62 28,748
EVRI 37.90% C 0.17% 50.79 1,337
SKX 37.45% C 2.30% 26.59 49,726
HIIQ 36.97% C 1.41% 85.71 16,788
FTAI 33.80% C -2.23% 65.87 1,102
NDLS 33.59% D -1.60% 35.32 74
ETM 32.79% D -2.14% 47.22 44
CLVS 32.35% D -1.92% 60.71 13,550
REV 31.53% D -0.46% 32.54 216
LB 31.48% F -1.37% 87.30 11,352
HEAR 30.57% C 1.47% 9.04 7,817
FDP 30.12% C -4.06% 92.86 287
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
PCG -60.86% C -5.21% 73.81 64,091
OZK -60.50% C -2.22% 75.00 729
RHT -59.13% C -2.96% 15.08 81,923
PVTL -55.54% F -0.74% 6.25 906
NTGR -4.66E-01 C -0.20% 22.31 5,027
MAT -3.95E-01 D 8.61% 63.89 28,691
NRZ -38.06% D 1.49% 40.87 4,019
EA -37.54% D -2.39% 82.54 1,510,206
ZS -37.21% F -1.67% 1.30 12,270
VSM -37.01% B -1.29% 3.70 3,825
UNIT -36.22% F -2.21% 34.13 1,156
FNSR -36.05% F 1.10% 5.56 695
ENS -35.14% D -1.68% 36.51 4,767
MDR -34.67% C 0.04% 96.43 2,141
PM -34.00% C 0.17% 36.90 114,897
COTY -33.67% F 2.30% 48.41 33,676
ATVI -32.79% C 1.41% 63.89 365,596
FDC -32.50% C -2.23% 13.10 864
STI -31.21% B -1.60% 32.14 13,738
GME -30.88% D -2.14% 55.95 4,397
TRGP -30.85% F -1.92% 9.52 45,677
WES -29.75% C -0.46% 28.17 270,452
NVDA -29.27% C -1.37% 38.10 1,129,443
MSFT -29.18% B 1.47% 10.71 754,179
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE